Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0288 |
| Annualized Std Dev | 0.1143 |
| Annualized Sharpe (Rf=0%) | -0.2522 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3858.0000 |
| NAs | 1.0000 |
| Minimum | -0.0817 |
| Quartile 1 | -0.0026 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0027 |
| Maximum | 0.0743 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0001 |
| Stdev | 0.0072 |
| Skewness | -0.0988 |
| Kurtosis | 16.2834 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0052 |
| Gain Deviation | 0.0056 |
| Loss Deviation | 0.0059 |
| Downside Deviation (MAR=210%) | 0.0107 |
| Downside Deviation (Rf=0%) | 0.0052 |
| Downside Deviation (0%) | 0.0052 |
| Maximum Drawdown | 0.4253 |
| Historical VaR (95%) | -0.0107 |
| Historical ES (95%) | -0.0177 |
| Modified VaR (95%) | -0.0098 |
| Modified ES (95%) | -0.0098 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-11-18 | 2020-03-18 | NA | -0.4253 | 3844 | 3590 | NA |
| 2005-11-08 | 2005-11-08 | 2005-11-16 | -0.0040 | 7 | 1 | 6 |
| 2005-11-03 | 2005-11-03 | 2005-11-07 | -0.0010 | 3 | 1 | 2 |
| 2005-11-01 | 2005-11-01 | 2005-11-02 | -0.0005 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | -3.2 | -1.4 | -4.7 |
| 2006 | -0.3 | 0.2 | 0.2 | 0.6 | 0.6 | 0.9 | 0.8 | 0.2 | -0.4 | 0.7 | -0.3 | 0 | 3.2 |
| 2007 | 0 | 0.1 | -0.1 | 0.2 | -1.3 | 0.2 | 1.1 | 2.3 | -1 | -0.8 | 1 | 0.1 | 1.9 |
| 2008 | 0.1 | 0.6 | 1 | -1.5 | -0.1 | -0.6 | 0.9 | 0.1 | 2.3 | -0.1 | 0.9 | 0.4 | 4.1 |
| 2009 | 0.6 | -1.4 | 0.4 | 1.8 | -2.2 | -0.2 | -0.4 | 0.7 | -0.1 | -1.1 | 1.2 | -0.3 | -1 |
| 2010 | 0 | 0.5 | 0.1 | -0.2 | -0.1 | -0.5 | -0.2 | 0.5 | 0.5 | -0.3 | -0.3 | 0.2 | 0.1 |
| 2011 | 0.2 | 0.4 | 0.2 | 0 | 0.4 | 0.4 | 0.8 | 0.6 | -0.1 | 0.5 | -0.4 | -0.1 | 3 |
| 2012 | 0.1 | -0.6 | 0.6 | 0.4 | -0.1 | -0.3 | 0.4 | 0.2 | 0.4 | 0.2 | -1 | -1.1 | -0.8 |
| 2013 | 0.1 | 0.1 | -0.3 | -0.1 | 0.4 | 0.2 | 0 | 0.2 | 1.3 | -0.1 | -0.2 | -0.1 | 1.5 |
| 2014 | 1.4 | -0.2 | -0.1 | 0.4 | -0.5 | 0.2 | 0.1 | 0.1 | 0.2 | 0.5 | 0.3 | 0 | 2.4 |
| 2015 | 0.2 | -0.5 | 0.1 | -0.2 | 0 | -0.1 | 0.4 | 0.1 | -0.4 | -0.4 | 0.3 | 1.5 | 0.9 |
| 2016 | 0.7 | 0.2 | 0 | -0.1 | -0.8 | 0.9 | 0.5 | -0.1 | -0.6 | -0.3 | -1.1 | 0.4 | -0.4 |
| 2017 | -0.1 | 0 | 0.2 | -0.1 | -0.2 | -0.2 | 0.1 | -0.5 | 0.4 | -0.1 | -0.1 | 0.3 | -0.3 |
| 2018 | -0.4 | 0.1 | 0.8 | -0.2 | 0.2 | 0.2 | 0.2 | -0.1 | -0.3 | 0.5 | 1.1 | 0.1 | 2 |
| 2019 | 0 | 0.1 | 0.8 | -0.1 | 0.2 | 0 | 0.2 | 0.1 | 0.2 | 0.2 | 0.3 | -0.1 | 2 |
| 2020 | 0 | -1.2 | -1.5 | -1 | -0.3 | 0.2 | 0 | -0.7 | -0.6 | 0 | 0.2 | 0.3 | -4.5 |
| 2021 | -0.3 | 0.5 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-10-27 20 SPY 118. -0.0106 0.0037 -0.0293 -0.0456 0.0431 0.318 -0.156 GLD 47.2 0.0053 0.0261
2 2005-10-28 20 SPY 120. 0.0144 0.0141 -0.0233 -0.0311 0.0583 0.353 -0.148 GLD 47.2 0.0008 0.015
3 2005-10-31 20.0 SPY 120. 0.0028 0.0014 -0.0237 -0.0342 0.0583 0.343 -0.139 GLD 46.4 -0.0174 0.0002
4 2005-11-01 20 SPY 120. 0.003 0.0064 -0.0172 -0.0339 0.0611 0.361 -0.116 GLD 45.7 -0.0144 -0.0283
5 2005-11-02 20.0 SPY 122. 0.0105 0.0199 0.0044 -0.0159 0.0589 0.349 -0.109 GLD 46.1 0.0087 -0.017
6 2005-11-03 20 SPY 122. 0.0043 0.0353 0.0221 -0.005 0.0491 0.342 -0.122 GLD 46.0 -0.0037 -0.0259
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
